What is this hierarchy of an empty and a collection, and how do I get to the mesh inside?
The orange box icon is a Collection Instance.  


It can't be edited, it's just a link to some other collection, that needs to be edited.
To import assets from other files, make sure to use  File > Append the collection.  
Then it's imported with all objects as separate items.


Importing all objects as separate items using File > Append